Wyniki wyszukiwania - BazTech

1

The present value of a portfolio of assets with present values determined by trapezoidal ordered fuzzy numbers

Łyczkowska-Hanćkowiak A., Piasecki K.

Operations Research and Decisions

|

2018

|

Vol. 28, No. 2

41--56

EN

We consider the obvious thesis that the present value of a portfolio is equal to the sum of the present values of its components. The main goal of this paper is the implementation of this thesis in the case when present values are determined by trapezoidal ordered fuzzy numbers. We apply the revised sum of ordered fuzzy numbers. The associativity of such a revised sum is investigated here. In addition, we show that the multiple revised sum of a finite sequence of trapezoidal ordered fuzzy numbers depends on the ordering of its summands. Without any obstacles, the results obtained can be generalized to the case of any ordered fuzzy numbers.

2

The portfolio problem with present value modelled by a discrete trapezoidal fuzzy number

Piasecki K., Siwek J.

Operations Research and Decisions

|

2018

|

Vol. 28, No. 1

57--74

EN

A multi-asset portfolio in the case of its present value estimated by a discrete trapezoidal fuzzy number has been assessed. The benefits of owning a security have been evaluated according to an expected fuzzy discount factor. The ambiguity risk has been assessed by an energy measure and indistinctness risk has been evaluated by Kosko’s entropy measure. The relationship between the expected fuzzy discount factor for a portfolio and the expected fuzzy discount factors for its components has been derived. An analogous relationship between the values of the energy measure has been presented. The model has been illustrated by means of a profound numerical case study.

3

The basis of financial arithmetic from the viewpoint of utility theory

Piasecki K.

Operations Research and Decisions

|

2012

|

Vol. 22, No. 3

37--53

EN

The main goal of this paper is to present a modern axiomatic approach to financial arithmetic. An axiomatic theory of financial arithmetic was first proposed by Peccati, who introduced an axiomatic definition of future value. This theory has been extensively developed in recent years. The proposed approach to financial arithmetic is based on the concept of the utility of a financial flow. This utility function is defined as a linear extension of a multicriterion comparison determined by an individual’s time preference and capital preference. The present value is then defined to be the utility of the financial flow. Therefore, the law of the diminishing marginal utility of wealth has been considered as an additional feature of the present value. The future value is defined as the inverse of the utility function. This definition is a generalization of Peccati’s one. The net present value is given as the unique additive extension of the utility of the financial flow. Moreover, the synergy effect and the diversification effect will be discussed. At the end, the axiomatic definition of the present value will be specified in three ways.

4

Effectiveness of securities with fuzzy probabilistic return

Piasecki K.

Operations Research and Decisions

|

2011

|

Vol. 21, No. 2

65-78

EN

The generalized fuzzy present value of a security is defined here as fuzzy valued utility of cash flow. The generalized fuzzy present value cannot depend on the value of future cash flow. There exists such a generalized fuzzy present value which is not a fuzzy present value in the sense given by some authors. If the present value is a fuzzy number and the future value is a random one, then the return rate is given as a probabilistic fuzzy subset on a real line. This kind of return rate is called a fuzzy probabilistic return. The main goal of this paper is to derive the family of effective securities with fuzzy probabilistic return. Achieving this goal requires the study of the basic parameters characterizing fuzzy probabilistic return. Therefore, fuzzy expected value and variance are determined for this case of return. These results are a starting point for constructing a three-dimensional image. The set of effective securities is introduced as the Pareto optimal set determined by the maximization of the expected return rate and minimization of the variance. Finally, the set of effective securities is distinguished as a fuzzy set. These results are obtained without the assumption that the distribution of future values is Gaussian.

5

Integracja środków OPL wojsk lądowych na bazie STANAG 4312 : ocena i wnioski

Piasecki K.

Postępy Radiotechniki

|

2008

|

T. 53, Nr 156

69-76

6

Optymalizacja kosztów przebudowy portfela jako zadanie transportowe

Piasecki K.

Badania Operacyjne i Decyzje

|

2004

|

nr 2

51-60

PL

Wszystkie koszty generowane przez prowizje maklerskie są włączone do zadania optymalizacji portfela. Transformacja portfela jest opisana jako zadanie transportowe. Minimalne koszty transformacji portfela są osiągnięte za pomocą pewnego rodzaju otwartego zadania optymalizacyjnego. Naszkicowano możliwość korygowania stopy zwrotu portfela optymalnego obciążonego kosztami transakcji.

EN

All costs generated by broker's commission are included in portfolio optimization. The value of indicated broker's commission is given as a constants point of some simple iteration process. The switching process is described as a closed transportation problem. It is proved that for a fixed ordered pair of portfolios the total costs of switching the first portfolio to the second one are constant. The strategy of optimizing indicated broker's commission is proposed. The minimal switching costs are attained by means of some kind of open transportation problem. The obtained method of costs management may be applied together with any procedure of portfolio selection. There are sketched the possibilities of correcting return rate of optimal portfolio burdened with switching costs.

7

Nowe wiadukty modernizowanego węzła komunikacyjnego "Żaba" w Warszawie

Piasecki K., Pluta W., Radoszewski A., Trochymiak W.

Inżynieria i Budownictwo

|

2000

|

R. 56, nr 9

498-503

PL

Opisano rozwiązanie materiałowe i konstrukcyjne wiaduktów drogowych i kolejowych. Omówiono zmiany rozwiązań wprowadzone przez nadzór autorski w trakcjie realizacji, zapewniające m.in. skrócenie cyklu budowy.

EN

Material and structural solution of the new road and railway viaducts are described. Some changes in design documentation introduced by the Author in course of work progress brought a.o. shortening of realization cycle.

8

Nowe późnoplejstoceńskie stanowisko paleontologiczno - archeologiczne w Jaskini Komarowej na Wyżynie Częstochowskiej - sprawozdanie wstępne

Gierliński G., Jakubowski G., Piasecki K., Urbanowski M., Żarski M.

Przegląd Geologiczny

|

1998

|

Vol. 46, nr 10

1019-1022

PL

W trakcie badań geologicznych w Jaskini Komarowej w Kielnikach woj. Częstochowskie odkryto bogaty zespół kości zwierzęcych. W pozyskanym materiale przeważają szczątki niedźwiedzia jaskiniowego, występują także liczne kości innych ssaków (m. in. jeleń, łoś) oraz ptaków. Większość okazów pochodzi z warstwy C, wstępnie datowanej na podstawie cech litologicznych na wczesną część stadiału leszczyńsko-pomorskiego, której wiek bezwzględny szacuje się na ok. 30-22 tys. BP (Lindner, 1992). W osadach tych znaleziono również szczątki ludzkie składające się z czterech niewielkich fragmentów kości czaszki. Stan zachowania i niektóre cechy morfologiczne sugerują znaczny wiek tych znalezisk. Ponadto wiele kości zwierzęcych pochodzących z warstwy C nosi ślady intencjonalnej obróbki. Jakkolwiek brak narzędzi kamiennych i niejasność co do homogeniczności zespołu uniemożliwiają powiązanie wymienionych znalezisk z konkretną kulturą archeologiczną, Jaskinia Komarowa wydaje się być niezwykle interesującym stanowiskiem, wymagającym dalszych badań. Jednocześnie zważywszy na częste naruszenia osadów jaskiniowych przez grupy odwiedzających ją turystów wymaga ona skutecznej ochrony.